We develop an asset market participation model in which investors base their market entry decisions on the momentum, value and risk of the market. Despite our behavioral framework, the model’s fundamental steady state is characterized by standard present-value relations between expected future...

Individual investors that are also natural persons play an important role in the stock market as providers of liquidity, and it is their investment performance that directly influences their rate of survival in the market. As to whether the outcome of their operating performance is due to their...

Within a financial market where a risk-free bond and a long-lived risky asset are exchanged by investors with heterogeneous trading rules, we assume that the investors most exposed to the risky asset are subject to joint liquidation needs. The latter encompass a risk whenever the market impact...